Innovations in Derivatives Markets PDF
By:Kathrin Glau,Zorana Grbac,Matthias Scherer,Rudi Zagst
Published on 2016-12-02 by Springer
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This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate.
This Book was ranked at 36 by Google Books for keyword Risk Management.
Book ID of Innovations in Derivatives Markets's Books is NtlCDwAAQBAJ, Book which was written byKathrin Glau,Zorana Grbac,Matthias Scherer,Rudi Zagsthave ETAG "p/bbW5OaH3Q"
Book which was published by Springer since 2016-12-02 have ISBNs, ISBN 13 Code is 9783319334462 and ISBN 10 Code is 3319334468
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Book which have "449 Pages" is Printed at BOOK under CategoryMathematics
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